An invariance principle for fractional Brownian sheets

Details An invariance principle for fractional Brownian sheets An invariance principle for fractional Brownian sheets

2011-09-23

arxiv.org/abs/1109.5160v2

Mathematics

Probability

Minor revision. References added

Scientific paper

We establish a central limit theorem for partial sums of stationary linear random fields with dependent innovations, and an invariance principle for anisotropic fractional Brownian sheets. Our result is a generalization of the invariance principle for fractional Brownian motions by Dedecker et al. (2011) to high dimensions. A key ingredient of their argument, the martingale approximation, is replaced by an m-approximation argument. An important tool of our approach is a moment inequality for stationary random fields recently established by El Machkouri et al. (2011).

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